How about Czechoslovakia, they had a good arm's industry, maybe see if you can get into the Axis before AH decides to ask for part of your land than start gobbling up the Empire again?
Czechslo is also good , but about the weapon industry. I'm going to assume that playing as a minor power means that we will be able to produce weapons on license regardless whether or not we have a good arms industry per se. Like making Gewehr rifle for our infantry, Renault FT tank as our first tank or what not.